On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion (Q404600): Difference between revisions

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-Paul H. Jung
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+Paul H. Jung
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+MaRDI publication profile
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+W2164799924
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+.5551
@@ Property / arXiv ID: 1205.5551 / rank @@
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@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
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@@ Property / cites work @@
+An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
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+Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
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+A General Fractional White Noise Theory And Applications To Finance
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+Q4896047
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+Self-intersection local time of fractional Brownian motions -- via chaos expansion
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@@ Property / cites work @@
+Renormalized self-intersection local time for fractional Brownian motion
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+Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
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+Central limit theorem for the third moment in space of the Brownian local time increments
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+The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
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+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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+Multiple Wiener integral
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+Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
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+White noise-based stochastic calculus with respect to multifractional Brownian motion
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+Renormalization and convergence in law for the derivative of intersection local time in \(\mathbf R^2\)
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+The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos
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+Stochastic calculus for fractional Brownian motion and related processes.
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+Chaos expansions and local times
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+Local time and stochastic area integrals
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+The intrinsic local time sheet of Brownian motion
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+The intersection local time of fractional Brownian motion in the plane
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+Properties of local-nondeterminism of Gaussian and stable random fields and their applications
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+\(p\)-variation of an integral functional driven by fractional Brownian motion
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+Characterizations of the white noise test functionals and hida distributions
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+Publication:404600